volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process … itself. Returns and volume data argue, in the context of our model, that persistent volatility is caused by traders … autocorrelation in volatility and volume on the time scale of the trading process which generates returns and volume data. Positive …

We study the impact of model disagreement on the dynamics of asset prices, return volatility, and trade in the market … disagree about the length of the business cycle. We show that model disagreement amplifies return volatility and trading volume …, we find that while the absolute level of return volatility is driven by long-run risk, the variation and persistence of …

an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities …

increase in new options granted leads to a 2.8–4.2 percent increase in equity volatility. This increase in risk is driven …